Frankly your solicitor shouldn't have allowed this to happen. The FENSA certificate should have been evidenced BEFORE you completed the deal.
An indemnity policy is an 'acceptable' way around the problem and it will indemnify you for the costs in the event that Building Control find out (don't tell them), discover the windows are to an inferior standard of insulation and require them changed. The policy will cover you only so you will be expected to fund the cost of another single premium indemnity policy when you sell on (I suspect).
But the real issue is that you might have lower insulation standard windows than Government (Building Control) stds demand.
Replacement FENSA certificates can be obtained here - they are an independent certification body owned by the Glass & Glazing Federation. I wonder why your seller didn't just get a replacement certificate? - sounds fishy to me.
http://www.fensa.co.uk/asp/certificate.asp